What is the process for moving from POP3 to my exchange server?

I have recently installed a Dell Poweredge server within my company. We have been using pop3 accounts for the last 3 years and an external man sorts out setting up our email accounts. Now i have the server in place i would very much like to bring the emails directly to our server as it seems more secure and i do not have to email half way around the world to email someone next to me. What would be the process of changing over from pop3 to exchange, i know i need to create an MX record and a host (a) somewhere.

Who is Participating?

you need to get your MX record changed to point to your new server which should be on a fixed IP address. (it should already exist and point to the providers mail server)
Your new server should have port 25 forwarded to it so it can receive mail, and if you telnet to your IP address you should get a message fromn exchange
ie - from an external system
cmd
telnet x.y.z.a 25
you should get a response then your server is ready

I would keep the workstations Popping their mail from the old provider as well as have the exchange account.
change their outlook to put mail in the users mailbox rather than the local pst file
copy all their old mail from the pst file.
After a week or two remove the Pop accounts as no mail should be going via the old provider any more.

for clarification - keeping popping from the old provider as when you change the MX record people sending to you wont change their destination until their cached copy of the DNS MX record expires and their server looks it up again. This is typically only a day or so, but it will do no harm to keep receiving mail.